I walk everywhere. I rarely if ever use my Sparrow unless the mission I'm playing demands a sense of urgency. Patrols? I walk all over the place, killing Fallen, Hive, Vex, and Cabal as I go. Why? Two reasons. First, you'd be surprised how much bigger Destiny seems when you can't zip from one end of the map to another on your Sparrow. Secondly, it's a great way to collect engrams.